Results 31 to 40 of about 1,031 (117)
Interest rate models with Markov chains [PDF]
, 2009 Imperial Users ...
Manlio BattagliaTrovato +1 more
core
Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model
, 2016 This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by the volatility dynamics $dV_{t}=\kappa_{t}\left(\theta_{t}-V_{t}\right)dt+\lambda_{t}V_{t}dB_{t}$.
Langrené, Nicolas +2 more
core +2 more sources
Term structure modeling with overnight rates beyond stochastic continuity
Mathematical Finance, Volume 34, Issue 1, Page 151-189, January 2024.Abstract Overnight rates, such as the Secured Overnight Financing Rate (SOFR) in the United States, are central to the current reform of interest rate benchmarks. A striking feature of overnight rates is the presence of jumps and spikes occurring at predetermined dates due to monetary policy interventions and liquidity constraints.
Claudio Fontana +2 more
wiley +1 more source
ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE [PDF]
, 2020 Dan Pirjol, Lingjiong Zhu
openalex +3 more sources
On a Symmetrization of Diffusion Processes [PDF]
, 2012 The latter author, together with collaborators, proposed a numerical scheme to calculate the price of barrier options. The scheme is based on a symmetrization of diffusion process.
Akahori, Jiro, Imamura, Yuri
core
Molecular Oncology, Volume 19, Issue S1, Page 1-940, June 2025.Abstracts submitted to the ‘EACR 2025 Congress: Innovative Cancer Science’, from 16–19 June 2025 and accepted by the Congress Organising Committee are published in this Supplement of Molecular Oncology, an affiliated journal of the European Association for Cancer Research (EACR).
wiley +1 more source
Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models [PDF]
The assumption that the probability distribution of returns is independent of the current level of the asset price is an intuitive property for option pricing models on financial assets.
Carol Alexandra, Leonardo M. Nogueira
core
Smiles all around: FX joint calibration in a multi-Heston model
, 2012 We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently typical multi-dimensional FX vanilla markets, while retaining the (semi)-analytical tractability typical of affine models and relying on a
De Col, Alvise +2 more
core +1 more source
Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas. [PDF]
In practice the option pricing models are calibrated to market prices of liquid instruments. Consequently for those instruments, all the models give the same price. But the computed risk can be widely different.
Marc Henrard
core
Implied value-at-risk and model-free simulation. [PDF]
Ann Oper Res, 2022 Bernard C, Perchiazzo A, Vanduffel S.
europepmc +1 more source